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Szigethi, Quijada Jaime Alejandro. "Diversificación Utilizando Commodities". Tesis, Universidad de Chile, 2007. http://repositorio.uchile.cl/handle/2250/104682.
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El objetivo general del presente trabajo de título es estudiar los activos
denominados commodities y los efectos que tiene la inclusión de éstos en carteras de
inversión enfocadas en acciones. Esto con el objeto de mostrar que las carteras
eficientes de inversión debieran incluir este tipo de activos.
Los inversionistas institucionales actualmente cuentan con las herramientas para
invertir en commodities, pero, debido a múltiples razones, no es normal verlos
realizando este tipo de inversiones.
El estudio se centra en índices de acciones para países de Europa, América,
Asia y Oceanía, logrando de esta forma cubrir una amplia gama de geografías y tipos
de economías diferentes. Además, se utilizan distintos commodities como metales,
granos y energía.
A partir de la data histórica para ambos tipos de activos, que va desde enero de
1992 hasta diciembre del 2005, también se cuenta con información de los principales
productores y usuarios de cada commodity. Considerando las características
principales de cada economía, se determinaron los niveles de mejora que se pueden
lograr en la cartera, además de estudiar el impacto y la relación que cada commodity
tiene con los países en estudio.
Los resultados muestran que el incluir este tipo de activos en la cartera genera
una nueva frontera eficiente de inversión que es envolvente de la frontera que solo
incluye los países, además, se llega a que existe una relación entre los principales
productores de los commodities y el poder diversificador que estos tienen en dichos
mercados, también se muestra a los metales preciosos como buenos diversificadores
en casos de mercados volátiles, y la energía como con buen potencial para diversificar.
Se concluye que la eficiencia de la cartera puede verse ampliamente mejorada al
incluir estos activos, pero debe realizarse mediante un inversionista que conozca los
riesgos e implicancias que estos tengan debido a que una mala diversificación (tanto
por elección del activo como por tamaño dedicado a él), puede llevar a una pérdida de
eficiencia en la cartera.
2
Sierralta, Ríos Anibal. "Los Contratos de "Commodities"". THĒMIS-Revista de Derecho, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/107302.
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Vespasiano, Chiara. "Statistical arbitrage on commodities". Master's thesis, Alma Mater Studiorum - Università di Bologna, 2014. http://amslaurea.unibo.it/6957/.
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Questa tesi è incentrata sull'analisi dell'arbitraggio statistico, strategia di trading che cerca di trarre profitto dalle fluttuazioni statistiche di prezzo di
uno o più asset sulla base del loro valore atteso. In generale, si creano opportunità di arbitraggio statistico quando si riescono ad individuare delle componenti sistematiche nelle dinamiche dei prezzi di alcuni asset che si muovono con regolarità persistenti e prevalenti. Perturbazioni casuali della domanda e dell’offerta nei mercati possono causare divergenze nei prezzi, dando luogo a
opportunità di intermarket spread, ossia simultanei acquisto e vendita di commodities correlate tra loro. Vengono approfonditi vari test econometrici, i test
unit root utilizzati per verificare se una serie storica possa essere modellizzata con un processo random walk.
Infine viene costruita una strategia di trading basata sull'arbitraggio statistico e applicata numericamente alle serie storiche dal 2010 al 2014 di due titoli
azionari sul petrolio: Brent e WTI.
4
Larosei, Nora, i Fabian Mally. "Understanding the Importance of Commodities : How Price Movements in Commodities Affect Different Sectors". Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-189019.
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Most investors strive to maximise return, with lowest possible risk, by designing portfolios believed to perform well in the future. One way to accomplish this is through diversifying over different sectors, which is done best with a good understanding of different factors’ effect on specific sectors. Commodities are directly or indirectly essential for all sectors in the market, motivating the importance of an understanding of commodity-sector relationships. This thesis aims to explore how the performance of companies in a sector responds to price movements of various commodities connected to that sector. To examine this occurrence, multiple linear regression analysis was used and the research was restricted to five sectors in the US market, namely Consumer discretionary, Health care, Industrials, Telecom and Financials, and eleven commodities. Monthly data for commodities, macrovariables and sectors used in the regressions, were retrieved in the form of indices for the period 1 January 1999 to 1 February 2016. Both regressions investigating correlation between the values of the indices and regressions investigating the correlation between the monthly percentage change of the sectors and commodities were utilised in this matter. The results of the thesis consisted of expected outcomes and unexpected ones, with several commodities effecting different sectors in a remarkable way. The explanatory power was however low for the models investigating the correlation between the change in price, while it was notably high for the regressions investigating correlation between the absolute index values.De flesta investerare har som mål att maximera sin avkastning med lägsta möjliga risk, genom att skapa portfolios som förväntas prestera bra i framtiden. Ett sätt att åstadkomma detta är genom att diversifiera portföljen över olika sektorer, vilket görs på bästa sätt med en bra förståelse för olika faktorers effekt på specifika sektorer. Råvaror är direkt eller indirekt fundamentalt viktiga för alla sektorer på marknaden, vilket understryker vikten av en förståelse för sambandet mellan olika råvaror och sektorer. Denna kandidatexamensuppsats ämnar att utforska hur företag inom en viss sektor påverkas av prisrörelser hos olika råvaror kopplade till den sektorn. För att undersöka detta användes en multipel linjär regressionsanalys, och undersökningen var begränsad till fem sektorer på den amerikanska marknaden, hälsovård, sällanköpsvaror och -tjänster, industrivaror och -tjänster, telekommunikation och finans, samt elva olika råvaror. Månatlig data för råvaror, makrovariabler och sektorer, i form av index, för perioden 1 januari 1999 till 1 februari 2016 användes i undersökningen. Både regressioner som undersökte korrelationen mellan de absoluta indexvärderna och regressioner som undersökte korrelationen mellan den månatliga procentuella förändringen av indexvärdena hos sektorerna och råvarorna utfördes. Resultaten bestod av både väntade och oväntade utfall, med flera anmärkningsvärda samband mellan råvarors priser och olika sektorer. Förklaringsvärdet hos regressionsmodellerna som undersökte korrelation mellan de månatliga förändringarna var relativt låga, medan de var anmärkningsvärt höga för regressionsmodellerna som undersökte korrelation mellan de absoluta indexvärdena.
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Cassaigneau, Guillaume. "Characteristics of ETF's on Commodities". St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02604411002/$FILE/02604411002.pdf.
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Brändli, Christian. "Soft Commodities eine empirische Analyse /". St. Gallen, 2009. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01664812002/$FILE/01664812002.pdf.
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Duggal, Rahul, i Tawfiq Shams. "Modern Portfolio Trading with Commodities". Thesis, Mälardalen University, School of Sustainable Development of Society and Technology, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990.
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There is a big interest for alternative investment strategies than investing in traditional asset classes. Commodities are having a boom dynamic with increasing prices. This thesis is therefore based on applying Modern Portfolio Theory concept to this alternative asset class.
In this paper we manage to create optimal portfolios of commodities for investors with known and unknown risk preferences. When comparing expected returns to actual returns we found that for the investor with the known risk preference almost replicated the return of the markets. The other investor with unknown risk preference also profited but not as efficient as the market portfolio.
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Calamia, Anna. "Trading Mechanisms in Commodities Markets". Thesis, London School of Economics and Political Science (University of London), 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.498123.
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We investigate the contribution of microstructural factors in the formation of commodities prices, using a completely new set of intra-daily data from the London Metal Exchange (LME). We chose the LME because its interesting structure allows the comparison of three alternative trading mechanisms: (i) The Inter-Office telephone market; (ii) Two daily sessions of floor market; (iii) The electronic trading platform (since 2001). The thesis begins with a review of the literature on market microstructure (Chapter 1), followed by a detailed description of the structure of the LME (Chapter 2). We then move to the empirical evidence from the LME. We first focus on the comparison of decentralized and floor trading systems (Chapter 3). For this purpose, we use a data set relative to the period February - April 2000, before the introduction of the electronic system. We find that the trading mechanism affects volume, volatility, spreads, price discovery and metals relationships. We investigate the robustness of these results, in a different period: February - May 2006 (Chapter 4). Since October 2000, there has been an extension of the floor's opening times: we find that this has an impact on market variables. We also compare the traditional and electronic market, LME Select, launched in February 2001 (followed by an updated version in 2003). We find that there is more trading activity and price discovery on LME Select, but LME Rings still concentrate a large amount of trades, and spreads are smaller. As a consequence of these structural changes, overall trading activity has increased since 2000, and spreads have lowered. In the final Chapter (Chapter 5), we model a computer-simulated environment to investigate the impact of trading mechanisms from a different angle. The results confirm the empirical findings that price properties are affected by the trading system.
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McGee, Julius. "The Paradox of Green Commodities". Thesis, University of Oregon, 2016. http://hdl.handle.net/1794/20476.
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In this dissertation, I establish a theoretical and empirical critique of modern forms of environmentally sustainable technology. Theoretically, I critique the application of environmentally sustainable technologies in modern capitalist economies using the treadmill of production theory and metabolic rift theory. I also expand on these theories by developing an analytical concept – the displacement paradox. The displacement paradox refers to a counterintuitive phenomenon, where green technologies expand rather displace traditional production processes. Empirically, I assess the assumptions of the displacement paradox by analyzing the relationship between organic farming and agrochemical application, organic farming and greenhouse gas emissions, organic farming and water pollution, and alternatively fueled vehicles and total fuel consumption per vehicle. In each of these cases, I find that green technology (in the form of organic farming and alternatively fueled vehicles) is not displacing traditional production processes, and instead expanding alongside them. I argue that these findings are a result of the broader socioeconomic structure that green technology is produced under. Specifically, I contend that because current socioeconomic systems are established around traditional production processes, to substantially reduce environmental degradation, green technologies must operate as a social and technological counterforce to traditional production processes. Currently, the green technologies explored in this dissertation act as a technological alternatives to traditional production processes, making them commodities that sustain the current structure of social relations, as opposed to social and technological counterforces to environmentally hazardous forms of production. I conclude that in order for green technologies to successfully reduce environmental degradation, they must be established under social conditions that support their use over traditional production processes.
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Jones, S. "Future demand for selected industrial commodities". Thesis, Swansea University, 1986. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.637464.
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Analyses have been made of the future patterns of demand for three distinctly different products, namely, gallium arsenide (GaAs) semiconductor materials, magnetic recording media and cement. These products differ widely in terms of the world tonnage production levels, the cost/kilogram and the time scale over which these products have been used commercially. As a result, entirely different forecasting procedures must be adopted to estimate future demand. Thus, extensive historical data is available on production, consumption and trade in cement so that 'intensity of use' methods can be used to predict demand to the year 2000. In contrast, since detailed commercial data does not exist for new products such as magnetic recording media and GaAs semiconductors, it is necessary to employ Delphi procedures based on expert opinion in these fields and, since the expected errors are larger than those with established statistical techniques, the forward projection must be limited to the mid 1990's. The following conclusions could be drawn from the analysis: (a) Current consumption will grow from 878 million tonnes in 1981 to 1.5 billion by the end of the century, due largely to increased demand in developing countries. This represents an increase in product value to 34 billion by the year 2000. (b) The market for magnetic recording media is estimated to increase from 5 billion in 1981 to over 16 billion by 1992. (c) An even more marked growth in GaAs activity is forecast, with a projected increase from 200 million to over 4 billion in the period from 1981 to 1992.
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Arruda, Andréa Ferraz de. "Macroeconomia e preços de commodities agrícolas". Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-24072008-123523/.
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Este trabalho retomou as análises do comportamento dos preços das commodities agrícolas após um período superior a uma década durante o qual o tema ocupou pouca atenção dos estudiosos. Os resultados encontrados mostram um papel moderado, mas não desprezível, para as variáveis macroeconômicas nas variações não-antecipadas daqueles preços. A taxa de câmbio impacta diretamente os preços dos produtos transacionados no exterior e indiretamente aqueles que com eles competem na produção e no consumo. A taxa de juros é componente do custo de armazenamento e, assim, se ela aumenta, por exemplo, eleva-se o custo de armazenamento, maior volume de commodities é lançado no mercado e seus preços tendem a cair. A taxa de juros, sabe-se, também, afeta o nível de atividade econômica e, logo, a renda dos países. Análises de auto-regressão vetorial foram empregadas para medir os impactos e a importância de choques nessas variáveis macroeconômicas sobre os preços da soja e do milho no Brasil. Verificaram-se efeitos não desprezíveis dos juros sobre esses preços e do c6ambio sobre o preço da soja. A renda - medida pelo PIB - não se mostrou relevante, talvez por este não ter capturado o efeito daquela ou pela exígua variação que o PIB tenha apresentado no período analisado. Embora os juros tenham se revelado capazes de serem utilizados para aliviar impactos inflacionários oriundos de elevações exageradas de preços de commodities, as evidências apontam para um elevado componente exógeno desses preços, o que pode ser interpretado com resultado da importância de fatores setoriais nesses mercados (como tecnologia e produtividade, clima e oscilações de demanda). Assim, caso a preocupação relacionar-se à instabilidade desses preços, caberá usar os instrumentos de armazenagem e crédito para controlá-la.This work resumed the behavioral analysis of commodities prices in agriculture after a decade during which the topic drew little attention from researchers. The results found show a moderate role, but not indispensable, played by the macroeconomic variables in the non-anticipated variations of their prices. The exchange rate impacts directly the prices of goods traded in foreign markets and indirectly those with which they compete in production and consumption. The interest rate is a component of storage costs, and, therefore, if it is raised, for example, it increases them, so a higher volume of commodities is offered to the market and their prices tend to drop. It is also known that the interest rate affects the level of economic activity and, thus, the countries\' revenue. Analysis of vectorial auto-regression was utilized to measure the impacts and the importance of shocks in these macroeconomic variables on corn and soybean prices in Brazil. It was verified indispensable effects of interest on these prices and of the interest rate on the soybean price. The revenue - measured by the GDP - did not show relevance, it might not have captured the effect of the revenue or because of the insignificant variation of the GDP in the period analyzed. Even though the interest has proven to be useful to mitigate the inflationary impacts derived from exacerbated increases of commodities prices, the evidences point to an elevated exogenous component of these prices, which can be interpreted as a result of the importance of sectoral factors in these markets (such as technology and productivity, climate and demand oscillations). Thus, as far as price instability is concerned, the use of instruments of storage and credit is required to control it.
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Barateiro, Ana Catarina Clemente. "Fundo especial de investimento : commodities agrícolas". Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2097.
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Mestrado em FinançasO principal objectivo deste trabalho baseou-se na constituição de um Fundo Especial de Investimento composto por treze séries de futuros sobre commodities agrícolas e a sua posterior análise. A carteira foi constituída com base no modelo de Markowitz, assumindo a existência de um activo sem risco e sem restrições ao short-selling. Procedeu-se a um back testing do desempenho da carteira nos três anos anteriores à sua constituição (2006-2008), contemplando uma análise comparativa com o desempenho dos seguintes índices accionistas: MSCI Global (carteira de mercado); MSCI Emerging Markets; S&P 500; DJ Stoxx 600 e PSI 20. Verificou-se que, no período em análise, a correlação entre a carteira constituída e os índices accionistas estudados, foi bastante baixa, reforçando a ideia de que faz sentido investir no mercado de commodities agrícolas, como forma de diversificação dos investimentos. O facto de na constituição desta carteira não terem sido consideradas restrições ao investimento nas séries, levou a que fossem assumidas posições muito elevadas nas mesmas, aumentando o risco da carteira. Constatou-se que, na prática, a aplicação do modelo de Markowitz deve ser conciliada com uma gestão activa da carteira, atenta às evoluções do mercado, especialmente no caso concreto das commodities agrícolas que são muito sensíveis a factores externos ao mercado.
The main purpose of this study is the establishment of a Mutual Fund composed by thirteen agricultural commodity future contracts series and it posterior analysis. The portfolio was established based on the classic Markowitz model, allowing unconditional riskless lending and borrowing at the same interest rate. No restrictions to short-selling were imposed. It was done a back testing along the three years prior to portfolio's issue date (2006-2008), comparing its performance with the following stock market indices: MSCI Global (market portfolio); MSCI Emerging Markets; S&P 500; DJ Stoxx 600 and PSI 20. This study provided evidence on the low correlation between the portfolio and the indices studied, reinforcing the idea that the investment in the agricultural commodity market is a good alternative to the investment diversification. In the allocation of this portfolio were not considered investment restrictions in the series, which led to be taken very high positions on them, increasing the portfolio's risk. It was concluded that in practice the application of the Markowitz model should be combined with an active portfolio management, responding to market evolution, especially in the case of agricultural commodities that are very sensitive to market external factors.
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Cromwell, Jeff B. "Chaotic price dynamics of agricultural commodities". Morgantown, W. Va. : [West Virginia University Libraries], 2004. https://etd.wvu.edu/etd/controller.jsp?moduleName=documentdata&jsp%5FetdId=3625.
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Thesis (Ph. D.)--West Virginia University, 2004.Title from document title page. Document formatted into pages; contains vi, 166 p. : ill. Includes abstract. Includes bibliographical references (p. 142-160).
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Mori, Helio. "Mercados futuros: hedging de commodities agrícolas". reponame:Repositório Institucional do FGV, 1990. http://hdl.handle.net/10438/30.
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Gravina, Alessandro <1991>. "Could Commodities hedge against inflation risk?" Master's Degree Thesis, Università Ca' Foscari Venezia, 2018. http://hdl.handle.net/10579/12202.
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This dissertation analyses the relation and the hedging ability of several asset classes against inflation. It will explain why and how inflation could erode the asset class returns, and why we should cover our investment by inflation risk. After that we investigate the relation between commodities and inflation, trying to understand if commodities could help investors to beat the inflation risk better than other asset classes, such as Treasury inflation-protected securities (TIPS) or Bond.
In a third moment, we will inspect if under a perspective of Asset Liability management, the use of commodities inside an investment portfolio, during the period where inflation was lively, would have mitigated the inflation risk without reducing the portfolio return dramatically.
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Weber, Andreas. "Tactical Asset Allocation in Commodities Futures An Investigation on the Role of Commodities as an Asset Class /". St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02607661003/$FILE/02607661003.pdf.
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Kushch, Paul. "Commodities or not commodities? : Portfolio optimization with robust Mean-Variance and Mean-Conditional Value at Risk strategies". Thesis, Umeå universitet, Nationalekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-56911.
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Lima, Gilmar Alves. "O preço das commodities importa? Eficiência operacional dos bancos brasileiros e a queda recente nos preços das commodities". reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18021.
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This work analyzes the effect of the recent drop in commodity prices, starting from march 2014, on the level of efficiency of Brazilian banks. The core target of this paper is to observe whether, in general, adverse shocks tend to make banks more efficient due to the restrictions that these situations impose. For this investigation, it was necessary to collect the data from the Brazilian conglomerates and independent financial institutions (except for development banks) from March 2011 to September 2016. The Risk Weighted Assets - RWA related to the exposure due to the variation of commodity prices (RWACOM) were used to ascertain the exposure to commodities throughout this time. The results indicate that the recent drop in commodity prices did not influence the gain or loss of efficiency of Brazilian banks more exposed to price changes.
Este trabalho apresenta o efeito da queda recente nos preços das commodities, ocorrida a partir de março de 2014, sobre o nível de eficiência dos bancos brasileiros. A partir dessa relação, objetiva-se verificar se, de um modo geral, os choques adversos tendem a tornar os bancos mais eficientes, dadas as restrições que eles impõem. Para essa investigação, foram coletados dados dos conglomerados e instituições financeiras independentes (exceto bancos de desenvolvimento) brasileiros durante o período de março de 2011 a setembro de 2016. Para verificar a exposição a commodities nesse período, foi utilizada a parcela do ativo ponderado pelo risco (Risk Weighted Assets - RWA) referente às exposições sujeitas à variação dos preços das commodities (RWACOM). Os resultados indicam que a queda recente nos preços das commodities não influenciou no ganho ou perda de eficiência dos bancos brasileiros mais expostos às variações nos preços.
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Ahola, Ulrika. "Thackeray's Vanity Fair and Commodities in Circulation". Thesis, Stockholms universitet, Engelska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-72369.
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While William Thackeray’s Vanity Fair is a satire, a humoristic account of the vanities of the different characters in the fictitious society of Vanity Fair, it is also a social criticism of early nineteenth century British society. The essay examines Thackeray’s social critique, which is sometimes explicitly expressed and sometimes more implicit. His criticism is aimed both at the new commodity culture where everything is reducible to money—even people and human relations—and at the class system of the up-and-coming middle classes and the established gentry and aristocracy. When Thackeray sends Becky Sharpe off in a vain pursuit of wealth and social status, he also uses her to expose the vanities of the other characters in Vanity Fair. Their vanities derive from the prevailing commodity culture and are mainly connected to wealth and social status. The essay discusses Becky’s progress from a sociological perspective through the theories of Pierre Bourdieu. His concepts of field, habitus, capital and distinction deal with the power structure in society and what distinguishes different social classes. Here his theories are used to demonstrate how the different characters in Vanity Fair engage in competition for social status, by using their different forms of capital, and the essay emphasizes the convertibility of these kinds of capital. Bourdieu’s theories contribute to the understanding of how Becky who comes from nowhere, manages to climb to very top rung of the social ladder, but they also demonstrate that her chameleon-like ability to fit in everywhere is an exception to Bourdieu’s general model.
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Ruano, Fábio dos Santos. "Commodities and portfolio diversification : myth of fact?" Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19333.
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Mestrado em FinançasEste estudo pretende analisar se as matérias-primas apresentam potencial de diversificação para portefólios de ações de investidores com aversão às perdas. A recente financialização do mercado das matérias-primas pode estar a afetar a vida de milhões de famílias a nível global, uma vez que determina o custo de vida. Alargamos a abordagem de Bessler & Wolff (2015) com o uso de indicadores de desempenho com o principal foco no risco de queda. A análise empírica considera a perspetiva das finanças comportamentais na avaliação dos benefícios de diversificação de 16 contratos futuros individuais e um índice de matérias-primas. Este estudo confirma a elevada sensibilidade das matérias-primas às condições económicas do mercado. O sector energético de matérias-primas tem um melhor desempenho durante períodos de expansão económica. Os metais preciosos apresentam benefícios de diversificação tanto em períodos de expansão como de recessão, enquanto as matérias-primas do sector da pecuária apresentam um grande potencial de diversificação durante recessões. No geral concluímos que continuamos a observar benefícios de diversificação, mas estes dependem do período em análise, e têm vindo a decrescer ao longo do tempo.
This study aims to investigate whether commodities yield diversification benefits to stock portfolios for loss-averse investors. The recent financialization of the commodity market increased correlations with stocks and thus may be hurting millions of households around the world, as it determines the cost of living. We extend the framework of Bessler & Wolff (2015) by using alternative performance measures mainly related to the downside risk. The empirical analysis accounts for a behavioral finance perspective in the assessment of diversification benefits from 16 individual future contracts and one index future on commodities. Our study confirms the high sensitivity of commodities to market economic conditions. The energy sector performs better under economic expansion periods. Precious metals yield diversification benefits both in expansion and recession periods, while livestock commodities display a high potential to reduce risk especially during recessions. Overall, our findings yield that there is still a diversification benefit, but it is time-dependent and the benefits have been decreasing over time.
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Kim, Myunghyun. "Essays on commodities and international macroeconomic interactions". Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:59347969-eec4-4e33-9204-4cadded633b2.
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This thesis introduces commodities into otherwise standard closed economy or open economy macro models. Chapter 1 sheds light on the fact that as trading in commodity derivatives tied to commodity prices has increased massively since the 2000s, they have begun to act as an asset class in recent years. It shows that financial intermediaries' investments in commodities play an important role in the recent reduction in the impacts of commodity price shocks on the economy. Chapter 2 adds commodities and different commodity trade structures of countries to a standard two-country model. It shows that U.S. business cycle comovements with commodity-exporting countries are stronger than those with commodity-importing countries and that the model produces better international business cycle statistics between the U.S. and commodity-exporting countries compared to the standard model. These results imply that the two elements should be considered to properly analyse international macroeconomic interactions between the U.S. and commodity-exporting countries. Chapter 3 studies international transmission of U.S. monetary policy shocks to commodity-exporting and commodity-importing countries. The chapter first empirically shows that the shocks have stronger effects on commodity-exporting countries than commodity-importing countries, and then augments a standard three-country model to include commodities and different commodity trade structures of countries. Consistently with the empirical evidence, in the model an expansionary monetary policy shock to the U.S. increases aggregate output of commodity-exporting countries by more than that of commodity-importing countries. This is because the increased U.S. aggregate demand triggered by the shock leads to rises in its demand for commodities and real commodity prices, and thus exports of commodity-exporting countries go up by more than those of commodity-importing countries.
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Ovararin, Komkrit. "Agricultural commodities : risk management for exporting countries". Thesis, Imperial College London, 2012. http://hdl.handle.net/10044/1/10528.
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We consider three aspects of agricultural risk management: volatility modelling of commodity returns for several agricultural commodities, convenience yield modelling for various commodities and weather risk in Thailand, a supplier of rubber, sugar and rice. To model the volatility of commodity returns, we extend the GJR-Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH). The inclusion of seasonal patterns, composed of a day-of-the-week effect (representing investor behaviour) and a yearly effect (representing harvest yields) are important in providing more accurate models of volatility. To capture fat tails, Standardised-t and the generalised error distribution (GED) are employed in estimations and compared with Gaussian error distribution. The Value-at-Risk (VaR) of the optimal volatility model's forecasting performances are used to determine the accuracy of these models. The second study examines convenience yield modelling and heteroskedasticity. The analysis of seven agriculture net convenience yields clearly shows that the benefit of net convenience yield exists only in the short term, otherwise it converges to zero. Both the current tests and a new proposed test confirm the existence of heteroskedasticity. An autoregressive model is used to model convenience yield: GARCH (1,1) and Standardised-t are more accurate than the alternatives considered. Finally, the net convenience yield is investigated in the context of the international market. We found that the depreciation of exchange rates of the leading exporting countries eliminates the benefit of holding the agricultural product. In the final study, we devised a weather insurance model, a hybrid error distribution that captures two important daily rainfall characteristics, to assess the weather risk to the Thai agricultural products. Our probability distribution combines a seasonal-Weibull distribution, which captures moderate rainfall, with an Extreme Value distribution, which captures extreme to heavy rainfall. Monte Carlo methods are used to simulate the daily data in order to compare our model performances with the actual data and estimate the rainfall insurance premium.
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Moumouni, Zoulkiflou. "Modeling and hedging strategies for agricultural commodities". Thesis, Montpellier, 2016. http://www.theses.fr/2016MONTD047/document.
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Sur les marchés agricoles, les producteurs encourent les risques de prix et de production ainsi que d'autres types de risques liés aux aléas de production. Ces risques impactent l'activité du producteur et pourraient diminuer ses revenus. La mondialisation des marchés, en particulier ceux des matières premières agricoles, permet de développer une stratégie de couverture en utilisant des instruments comme les contrats à terme. Cependant, la situation selon laquelle une position basée seulement sur un contrat futures devrait couvrir tous les risques, entraîne un marché incomplet. Le producteur en recherche de meilleure stratégie de couverture pour ajouter un contrat d'assurance ou d'option pour garantir davantage ses revenus, surtout lorsque les rendements des cultures prévus diminuent. Nous étudions, ici les stratégies de couverture dans le cadre statique, ainsi que dans le cadre de temps continu. Avant, nous analysons le comportement des prix des matières premières agricoles en utilisant diverses approches statistiques afin de suggérer la modélisation des prix adéquate aux données. La stratégie de couverture statique comprend également le processus de retournement de positions qui pourrait entraîner d'autres risques supplémentaires en raison de l'écart entre les nouveaux contrats à terme et des contrats à terme à proximité ainsi que la couverture inter-culture. Nous proposons une stratégie de couverture qui combine des contrats futures et d'assurance. Comme la prise de décisions dans le cadre statique ne tient pas compte des mouvements quotidiens de prix le long de l'horizon de couverture, la stratégie de couverture optimale en temps continu combine des positions en contrat à terme et options tout en prenant en compte les sauts et la saisonnalité dans la dynamique des prixIn agricultural markets, producers incur price and production risks as well as other risks related to production contingencies. These risks impact the producer activity and could decrease his income. The globalization of markets, particularly those of agricultural commodities, provides hedging instruments including futures contracts which will serve to develop a hedging strategy. However, the situation whereby a single futures contract-based positions could offset many risks leads to incomplete market. Especially, an producer looking for better hedging strategy could also include insurance, option contract or mutual funds to further guarantee his income, specially when crop yields are lower than expected.vspace{0.25cm}We investigate the hedging strategies in static framework as well as in continuous time framework. Prior, we analyze the behavior of agricultural prices using various statistical approaches and suggest appropriate price modeling for data at hands. The static hedging strategy also accounts for rollover process which gives raise to additional risks due to spread between new futures and nearby futures and inter-crop hedging. We particularly address hedging strategy that combines futures and insurance contracts. Since decisions making in static framework does not include price changes along the hedging horizon, optimal hedging strategy in continuous time framework will take into account jumps and seasonality by combining futures and option contracts
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Gomes, Marcos Faria. "Formação de preços de commodities no Brasil". reponame:Repositório Institucional do FGV, 2002. http://hdl.handle.net/10438/1800.
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Previous issue date: 2002-02-27T00:00:00ZEste trabalho trata do estudo da formação de preços no mercado de commodities brasileiro. O enfoque teórico fornecido pela Microstructure Theory foi utilizado juntamente com o instrumental econométrico da análise de cointegração por meio do método de Johansen. Os resultados demonstraram que o mercado brasileiro é tomador de preços. apesar de influenciar as cotações internacionais.
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Sivakumaran, Nimalan. "Managing the risk of a portfolio of commodities". Thesis, Imperial College London, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.500013.
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Pfaffenzeller, Stephan. "Forecasting the price of wheat and other commodities". Thesis, University of Nottingham, 2002. http://eprints.nottingham.ac.uk/12151/.
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The long term behaviour of primary product prices has been a central issue underlying projections of commodity price series. Against the background of the Prebisch Singer Hypothesis, the presence, magnitude and direction of a secular trend in commodity price series have themselves become the subject of a long standing debate. This study uses the individual commodity price series underlying the Grilli and Yang data set and, where possible, extends these data series up to 1998. Deflating primary commodity prices by the MUV index, the question of trend components in the time series is studied considering evidence from univariate models and allowing for trend stationary or integrated data series with drift. In this context the impact of serial correlation in finite samples and the impact of wrongly modelling a data series as integrated are considered in detail. Further evidence from a trend test developed by Vogelsang (1998) is also taken into account. In selecting forecast models, the usefulness of unit root pre-testing is assessed allowing for interdependence between the inferred order of integration and the significance of the trend or drift coefficient estimate obtained. Projections from univariate models are obtained for a ten year horizon and Beveridge-Nelson trend cycle decompositions are computed to assess the importance of volatility surrounding the forecasts. It is found that with regards to the past behaviour of primary commodities as well as for the forecasts obtained, the trajectory of primary commodity prices relative to the price of developed country manufactures exports is not generally characterised by a downwards trend.
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Mushtaq, Khalid. "Supply response of major agricultural commodities in Pakistan". Thesis, University of Newcastle Upon Tyne, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.323478.
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Halova, Marketa. "Essays on International Asset Portfolios and Commodities Trade". Thesis, Boston College, 2012. http://hdl.handle.net/2345/3924.
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Thesis advisor: Christopher BaumThesis advisor: Fabio Ghironi
Do events in the natural gas market cause repercussions in the crude oil market? In light of the enormous impact that price movements in the two largest U.S. energy markets have on the economy, it is important to understand not just the individual markets but also how they relate to one another. On this front, the literature presents a puzzle: while economic theory suggests that the oil and gas markets are interlinked through a bi-directional causal relationship, empirical research has concluded that the oil market affects the gas market but not vice versa. The first chapter of this dissertation improves on the previous studies in two ways: by using high-frequency, intraday oil and gas futures prices and by analyzing the effect of specific news announcements from the weekly oil and gas inventory reports. The results dispel the notion of one-way causality and provide support for the theory. The reaction of the futures volatility and returns is asymmetric, although this asymmetry does not follow the "good news" vs. "bad news" pattern from stock and bond markets; the response depends on whether the shock is driven by oil or gas inventory gluts or shortages. The two-way causality holds not only for the nearby futures contract but also for contracts of longer maturities. These findings underscore the importance of analyzing financial markets in a multi-market context. The second chapter of this dissertation asks whether volatility and trading volume evolve in a unidirectional or bidirectional, contemporaneous or lagged relationship in the crude oil and natural gas futures markets. This question is important because it affects trading and government regulation but previous studies have come to conflicting conclusions. Their main shortcoming is the low frequency of data used in the analysis. This chapter improves on the previous studies in three ways: by using high-frequency, intraday oil and gas futures prices and volume, by including trading not only during the day but also during the night, and by analyzing not only the nearby futures contract but also contracts with longer maturities. For the nearby contract, Granger-causality tests show that past values of volume help explain volatility which agrees with the Sequential Information Arrival Hypothesis. Past values of volatility have explanatory power for volume only when absolute return is used as the volatility measure; when the conditional variance from GARCH models is used as the volatility measure, the causality in this direction disappears. These results change when low-frequency daily data is applied. It is also shown that the volatility-volume relationship differs for contracts with longer maturities. These findings are relevant for regulations, such as trader position limits recently adopted by the U.S. Commodity Futures Trade Commission. The third chapter of this dissertation investigates whether the production structure of firms affects international optimal portfolios, risk-sharing, and response of terms of trade (TOT) to shocks. The answer to this question would enhance our understanding of the home equity bias, yet it has not been addressed in the theoretical literature. This chapter studies the question in a two-country dynamic stochastic general equilibrium model with endogenous portfolio allocation. It shows that the optimal portfolio includes more home equity as the production structure changes from exporter-only, i.e., firms operating in their home countries and serving foreign markets by exports, to multi-national-company-extreme (MNC), i.e., firms hiring labor in both countries and producing locally in both countries. This shift occurs because changing the firms' production structure eliminates exposure to technology differences and allows the home household to accomplish the same diversification with less foreign equity. The production structure also has implications for the effect of technology shocks on the TOT. Under the exporter-only setup, a shock to technology causes a standard TOT deterioration, whereas under the MNC-extreme setup, a shock to technology leads to a TOT improvement. By producing testable predictions, this chapter underscores the need to take firms' production structure into account when analyzing international optimal portfolios, risk sharing, and response of the TOT to technology shocks. This is especially important since empirical research has generated conflicting results
Thesis (PhD) — Boston College, 2012
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
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Moratoya, Elsie Estela. "Transmissão e volatilidade de preços das commodities agrícolas". Universidade Federal de Goiás, 2014. http://repositorio.bc.ufg.br/tede/handle/tede/3381.
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This study presents an empirical analysis of price and volatility transmission for soybean and corn prices, between an international market, represented by the Chicago Board of Trade, and four domestic markets in Brazil: State of Goiás, Mato Grosso, Paraná and Rio Grande do Sul. Daily soybean and corn prices were collected for the period January, 2008 to June 2013 from the Centre for Advanced Studies in Applied Economics and the Institute of Agricultural Economics in Brazil. Henceforth, returns for the nominal price series were calculated and logaritmized for a preliminary to assess the behavior of the series, in which all were found to be integrated of order (1). Furthermore, the international market and domestic markets were found to be highly correlated. Co-movement and price transmission speed for both crops in all domestic markets and international market were measured using the Johansen cointegration test and the error correction model. Empirical results for the soybean prices presented the state of Rio Grande do Sul as the market that more rapidly adjusts to international market prices, at a rate of speed of 55%. Soybean prices in the state of Goiás corrected at a rate of 40%, Mato Grosso at a rate of 46%, and Paraná at a rate of speed of 55%. In terms of corn prices, the state of Goiás was the first to arrive at equilibrium with those of CBOT, at a rate of speed of 1.12%. Corn prices in the state of Mato Grosso corrected at a rate of 0.67% and Paraná and Rio Grande do Sul at a rate of 0.83%. Volatility transmission was determined with the use of a lower triangular GARCH - BECK model and the Impulse Response Function. The results showed that, in the case of soybean prices, the state of Goiás was the only one that presents no evidence of volatility transmission. Evidence of volatility transmission was found from CBOT to Mato Grosso, Parana to CBOT and bi-directional transmission between CBOT and Parana. Furthermore, results of the impulse response function show that a shock in the international soybean prices on prices of the State of Goiás did not normalize within a period of twenty four months. Other domestic markets showed a tendency to stabilize on an average of twenty months. In the case of corn prices, evidence of bi-directional volatility transmission was found between CBOT prices and Goias, Mato Grosso and Parana. Volatility transmission was unidirectional for Rio Grande do Sul and CBOT. The reaction to a shock in prices in the international market showed that the persistence of the shock in the domestic markets lasted an average of ten days before normalizing. The results show that price and volatility transmission between the domestic markets for the commodities analyzed and CBOT do exist and new information within the individual markets play a bigger role on returns volatility than new information from CBOT.
Este estudo apresenta uma análise empírica de transmissão de preços e de volatilidade nos preços da soja e do milho entre o mercado internacional, representado pela CBOT, e quatro mercados domésticos no Brasil: o Estado de Goiás, Mato Grosso, Paraná e Rio Grande do Sul. Para isso, foram selecionados os preços diários da soja e do milho, para o período entre janeiro de 2008 e junho de 2013. Os preços foram obtidos junto ao Centro de Estudos Avançados de Economia Aplicada e o Instituto de Economia Agrícola; em seguida, foram convertidos em retornos e logaritimizados para as análises. Posteriormente, foi feita uma análise preliminar dos preços nominais para avaliar o comportamento das séries temporais, em que foi verificada a estacionariedade de ordem (1) para todas as séries de preços. Foi também constatada uma alta correlação entre o mercado internacional e os mercados domésticos. O comovimento e a velocidade da transmissão dos preços foram estimados mediante o uso do teste de cointegração de Johansen e o modelo de correção de erros. Os resultados apontaram uma cointegração entre os mercados domésticos e o mercado internacional para as duas culturas. Os resultados empíricos dos testes para os preços da soja mostraram que o Estado do Rio Grande do Sul é o mercado que mais rapidamente se ajusta e se equilíbra com os preços da CBOT, numa velocidade de 55%. Os preços da soja no Estado de Goiás se ajustam a uma velocidade de 40%, o de Mato Grosso a uma velocidade de 46%, e o Paraná a uma velocidade de 55%. Quanto aos preços do milho, o Estado de Goiás é o que mais rapidamente se equilibra com os preços da CBOT, com uma velocidade de 1,12%. Os preços do Mato Grosso se corrigem a uma velocidade do 0,67% e os mercados do Paraná e Rio Grande do Sul a uma velocidade de 0,83%. A análise empírica da transmissão de volatilidade foi estimada pelo uso do modelo GARCH-BECK triangular inferior. Os resultados para a soja apontam que o mercado do Estado de Goiás foi o único que não apresentou evidência de transmissão de volatilidade. Existência de transmissão de volatilidade foi encontrado da CBOT para Mato Grosso, do Paraná para CBOT, e bidirecional entre Rio Grande do Sul e CBOT. Além disso, os resultados da Função Resposta ao Impulso mostram que um choque do mercado internacional no mercado do Estado de Goiás não chega à estabilidade em um período de vinte e quatro meses. Os outros mercados domésticos mostraram uma tendência de se estabilizar, em média, a partir de vinte meses. No caso do milho, foram encontradas evidências de transmissão de volatilidade bidirecional nos Estados de Goiás, Mato Grosso e Paraná, e transmissão unidirecional de Rio Grande do Sul para CBOT. A reação a um choque da CBOT mostra que a persistência do choque nos mercados domésticos leva, em média, dez dias para se estabilizar. Portanto, os resultados mostram que existe transmissão de preços e de volatilidade entre os mercados domésticos para os commodities analisados com a CBOT, além do que as novas informações dos proprios mercados possuem maior papel na volatilidade dos retornos que das informações da CBOT.
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Santos, Anderson Rodrigues dos. "Preços das commodities: fatores determinantes e panorama histórico". Pontifícia Universidade Católica de São Paulo, 2010. https://tede2.pucsp.br/handle/handle/9428.
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Previous issue date: 2010-05-20Banco Daycoval S.A.
This work aims to understand what are the main determinants and behavior of commodity prices since the end of the Bretton Woods System , in 1971. Among the main factors usually found in the literature as influential in commodity prices, we have supply expansion resulting from the integration of the soviet cowntries to the world economy, the increase in demand, as a result of economic growth in Asia, particularly China, the interest low levels and exchange rate relationship between the dollar and other reserve currencies and the demand for speculative reason. It also describes changes in the prices of commoditites between 1971 and 2008, enclosed in large frame movements, the first high from 1971 until the shock of Volker, the second of stagnation, due to high interest rates and oversupply commoditites, the third, lift, in response to low real interest rates, rapid economic growth and excess of international liquidity, and finally, the decline, reflecting the effects of global financial crisis in 2007-08. To complement the analysis, commodity prices are arrelated to key macroeconomic variables, to study the behavior of the data, considering the factors mentioned as determinants
Este trabalho visa compreender quais são os principais determinantes e o comportamento dos preços das commodities, desde o fim do Sistema Bretton Woods, em 1971 até 2009. Entre os principais fatores apontados na literatura como influentes nos preços de commodities estão a expansão da oferta, decorrente da integração da ex-URSS à economia mundial; o aumento da demanda, em conseqüência do crescimento asiático, chinês em particular; a manutenção dos juros em patamares baixos e a relação cambial entre o dólar e as outras moedas de reserva, além da demanda por motivo especulação. Também são descritas as variações nos preços das commoditites no mesmo período, delimitadas em quatro grandes movimentos: o primeiro de alta, de 1971 até o choque de Volker, em 1980; o segundo de estagnação, devido à taxa de juros elevada e o excesso de oferta de commoditites; o terceiro, de elevação, em resposta aos juros reais baixos, crescimento econômico acelerado e excesso de liquidez internacional; e por último, o declínio, refletindo os efeitos da crise financeira mundial de 2007-08. Para complementar a análise, relaciona-se os preços das commodities às principais variáveis macroeconômicas, para estudar o comportamento dos dados, considerando os fatores apontados como determinantes
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RODRIGUES, Marcos. "A produção familiar de commodities em Mato Grosso". Universidade Federal do Pará, 2017. http://repositorio.ufpa.br/jspui/handle/2011/10396.
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CNPq - Conselho Nacional de Desenvolvimento Científico e Tecnológico
A soja é o principal produto agrícola brasileiro, e neste cenário destaca-se o Mato Grosso com a maior produção nacional desta commodity. As principais características desta atividade no Mato Grosso são o cultivo em grandes propriedades agrícolas, elevada aplicação de capital, alta produtividade e forte integração entre os agentes da cadeia produtiva. Embora historicamente este modo de produção excluiu a produção familiar, identifica-se no meio rural mato-grossense este grupo de produtores, levantando-se o questionamento de como eles são capazes de superar as condições limitantes para o cultivo de soja em pequena escala. O objetivo deste trabalho foi analisar os mecanismos de inserção da agricultura familiar do Norte de Mato Grosso na cadeia produtiva da soja. Foi realizada a aplicação de questionários com pequenos agricultores familiares em seis municípios mato-grossenses para levantamento de informações sobre produção, rentabilidade e práticas institucionais. A partir da análise fatorial exploratória foi possível determinar fatores que correlacionam as práticas institucionais e a elaboração do Índice Tecnológico Produtivo da Agricultura Familiar (ITPAF), que analisou quais variáveis mais interferem na adoção tecnológica e rentabilidade da produção familiar de soja. Os resultados demonstram que a viabilidade da produção de soja é baseada principalmente por práticas institucionais que complementam as melhorias técnicas na produção. A existência de mercados de compra e venda de máquinas usadas e de contratação de prestação de serviços de colheita permite a redução de um investimento essencial na atividade, a colheitadeira. Outros mecanismos como a Cédula de Produto Rural (CPR), contratos de venda antecipada, venda da produção para o programa de biodiesel atuam na viabilidade da produção ao fornecer crédito, redução da exposição ao risco e novos mercados para comercialização da produção. O ITPAF demonstrou que a maior parte dos agricultores tem adesão moderada as inovações tecnológicas, requerendo que o conhecimento seja mais difundido na cadeia, abrindo espaço para atuação de políticas públicas. Dentro da produção familiar, embora ainda exista influência da economia de escala sobre a produção de commodities, no geral as pequenas propriedades são capazes desenvolver a produção e proporcionar renda as famílias. Identificar mecanismos institucionais que viabilizam a produção de soja na agricultura familiar permite que eles sejam difundidos e aperfeiçoados no ambiente institucional, através de políticas públicas, consequentemente promovendo o desenvolvimento rural.
Soybean is the most important Brazilian agricultural product, highlighting Mato Grosso as the largest national production of this commodity. This activity in Mato Grosso has some characteristics as predominance of large farms, high capital investment, high productivity and strong coordination among the agents of the productive chain. Although historically these characteristics have excluded family farmers from soybean production, it is possible to identify these farmers in the rural area of Mato Grosso, raising the question of how they are able to overcome the limiting conditions for soybeans production. This study aimed to analyze the mechanisms of insertion of family farmers in North of Mato Grosso in the soybean supply chain. A questionnaire was applied with small family farmers in six municipalities in Mato Grosso to gather information about production, profitability and institutional practices. With an exploratory factorial analysis, it was possible to identify the factors that correlate institutional practices, also was performed the Productive Technological Index of Family Agriculture (ITPAF) with the factors scores, which analyzed the variables that most interfere in the technological adoption and profitability of the family farming soybean production. The results demonstrated that the economic viability of soybean production in small family farms is achieved with institutional practices that complement the technical improvements technologies. The presence of two markets, one for trading used machinery between farmers and other of contract services of harvesting, allows the reduction of investment in an essential machinery in soybean production, the harvester. Other mechanisms such as Rural Product Certificate (CPR), contracts of future sale and commercialization of soybean to the biodiesel program help the viability of production by providing credit, reducing exposure to risk and adding new markets for soybean negotiation. ITPAF has shown that farmers have moderate adoption to institutional innovations, requiring the diffusion of knowledge in supply chain, mainly with public policies of rural extension. Within family production, although economies of scale still influence the production of commodities, in general small farms can develop the commodity production and provide income to families. Identify institutional mechanisms that contribute to the production of soybean in family farming allows them to be disseminated and improved in the institutional environment, through public policies, consequently promoting rural development.
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Makhlouf, Yousef. "Essays on commodities, terms of trade and development". Thesis, University of Essex, 2015. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.701514.
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Significant changes in commodity prices imply serious challenges for many national economies, especially for those located in developing countries. Although the extant literature has investigated some of the effects, as well as the determinants, of commodity price movements, there are still many gaps in this field. This thesis fills some of these gaps in an attempt to achieve a deeper understanding of commodity price effects. To do so, the thesis employs a country-specific commodity index, commodity terms of trade (CTOT), which reflects the national dimension of global commodity price fluctuations by accounting for national commodity trade structures. The first essay examines two characteristics of commodity prices, trend and volatility, as potential channels of the relatively well studied resource curse phenomenon . In particular, the results show that CTOT volatility (growth) prevents (enhances) economic growth of commodity exporters. Additionally, this chapter demonstrates that financial development and fiscal policy affect CTOT volatility in countries that are recognized as leaders of commodity demand e.g. developed countries. The second essay focuses on the CTOT measure itself by evaluating the effects of typical commodity price determinants on CTOT growth. This models the aggregate, country-level effect of these global determinants, and hence removes the ambiguity caused by their mixed effects across individual commodities. The results show that determinants that boost commodity prices improve (deteriorate) CT9.T growth for commodity exporters (importers) and vice versa for determinants that lower commodity prices. Importantly, emerging market growth is the only determinant that universally and consistently affects the CTOTs in four groups of countries, classified by whether they are exporters or importers, and whether their trade basket is dominated by oil or not. Finally, the third essay studies the relationship between CTOT growth and volatility and child mortality. Child mortality is an important indicator of a country's welfare, yet its nexus with commodity prices remains underexplored. The essay examines this relationship not only for commodity-exporters but also for commodity- importers .. Additionally, the essay investigates how democracy and commodity dependence influence this relationship. The main finding is that CTOT volatility raises child mortality especially on commodity importers. This spots new light on commodity dependence outcomes as the literature traditionally focuses on commodity-exporters, solely. However, democracy and low-commodity dependence can mitigate this effect.
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Lamani, Viola. "International trade, trade costs and quality of traded commodities". Thesis, Bordeaux, 2017. http://www.theses.fr/2017BORD0746/document.
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L'objectif de cette thèse est d'identifier les effets des coûts à l'échange sur la structure du commerce par qualité. Dans le premier chapitre, nous analysons empiriquement les déterminants des exportations de Cognac et nous nous focalisons sur l'impact des coûts à l'échange. Nous montrons que, comme pour d'autres produits de luxe, l'élasticité des exportations de Cognac à la distance est négative et relativement faible. Les droits de douane n'ont par ailleurs pas d'impact significatif sur la marge intensive, mais nous trouvons un impact négatif sur la marge extensive, une fois corrigé d'un biais d'endogénéité. Dans le deuxième chapitre, nous testons empiriquement la validité de l'effet Alchian-Allen qui stipule que les couts unitaires augmentent la demande relative des biens de haute qualité. Nous exploitons la dimension « qualité » de nos données sur les exportations de Cognac. La mesure de la qualité du Cognac est objective et ne varie pas dans le temps. Nos résultats montrent que la distance et les droits de douane spécifiques augmentent la part relative des exportations de Cognac de haute qualité. Nous examinons également l'impact de la conteneurisation sur la structure par qualité des exportations de Cognac entre 1967 et 2013. Dans le troisième chapitre, nous construisons un modèle théorique de duopole Nord-Sud en concurrence à la Bertrand sur les deux marchés. Nous étudions l'impact de plusieurs instruments (droit de douane, quota et standard de qualité) sur l'investissement en R&D de produit de la firme du Nord. Nous montrons que cet investissement augmente avec chaque instrument de politique commerciale à l'exception du quota d'importationThe objective of this dissertation is to identify the effects of trade costs on the quality structure of international trade flows. In chapter one we empirically analyze the determinants of Cognac export flows and emphasize the role of trade costs. We show that, as with other luxury products, the elasticity of Cognac exports to distance is negative and relatively small. Meanwhile, average customs duties do not have a significant impact on the intensive margin, but we find that they negatively affect the probability of trade, after correcting for an endogeneity bias. In chapter two we empirically test the validity of the Alchian and Allen effect that states that per-unit charges increase the relative demand of higher quality goods. We use data on Cognac exports by quality designations. The measure of Cognac quality is objective and invariant over time. Our results show that distance and specific duties increase the share of exports of higher quality Cognac. We also examine the impact of containerization on Cognac's quality mix from 1967 to 2013. In chapter three we build a theoretical model of a North-South duopoly where firms compete in prices on both markets. We use this framework to study the impact of several trade policy instruments (import tariff, quota and quality standard) on the product R&D investment of the Northern firm. Our results show that the Northern firm's R&D expenditures increase with each policy instrument except for the import quota
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Andersen, Frans, i David Fagersand. "Forecasting commodities : - A study of methods, interests and preception". Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-230411.
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This study aims to investigate reasons for variation in accuracy between different forecast methods by studying the choice of methods, learning processes, biases and opinions within the firms using them; enabling us to provide recommendations of how to improve accuracy within each forecast method. Eleven Swedish and international companies that are regularly forecasting commodity price-levels have been interviewed. Since there is a cultural aspect to the development of forecast methods; the authors have chosen to conduct a qualitative study, using a semi-structured interview technique that enables us to illustrate company-specific determinants. The results show that choice of methods, learning processes, biases and opinions all have potentially substantial implications on the accuracy achieved. The phenomena’s individual implication on accuracy varies amongst method-group.
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Dawlatana, Mamtaz. "Control of mycotoxins in major food commodities in Bangladesh". Thesis, University of Portsmouth, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.338351.
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Méndez, Parra Maximiliano. "Futures prices, trade and domestic supply of agricultural commodities". Thesis, University of Sussex, 2015. http://sro.sussex.ac.uk/id/eprint/53619/.
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Commodity markets display substantial volatility both in prices and in the quantities traded. This has led to the development of different instruments designed to address this volatility. Processors and traders, who are actively involved in the international market, participate in these commodity markets using cross-hedging strategies by their export and domestic supply decisions. Spot and future prices, as well as the cross-hedging strategies, affect export and the domestic supply decisions. Understanding this complex interaction calls for further and newer insights and this research contributes to this. The primary objective of Chapter 1 of this thesis is to develop a model which explains the export and domestic supply decisions when traders, producers and speculators participate in a futures market for a primary commodity, which can be stored and for which future markets operate. As a result, exports and domestic supply are affected by the prices of the primary product, and jointly by the prices in the external and domestic market. Chapter 2 provides the historical, political and economic context of the Argentine economy and the agricultural sector, specifically on the three agricultural commodities used in the empirical part of this research. In Chapter 3, we perform a comprehensive analysis of the seasonal unit roots of monthly series of exports and domestic supply, using time series that include zero values. In the past, this technique has mostly been applied to quarterly data but never to monthly series that display periods of inactivity. The results indicate that, in general, the seasonality observed in the series analysed can be sufficiently explained by a deterministic approach. The estimation and further analysis of the supply equations derived in Chapter 1 are undertaken in Chapter 4. A comprehensive analysis of seasonal cointegration using monthly data was conducted but, in light of the results obtained in Chapter 3, only the Engle-Granger cointegration is applied. The results indicate weak cointegration relationships. This may indicate the need for improved data and/or alternative econometric techniques.
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Koutroumpis, Panagiotis. "Research on futures-commodities, macroeconomic volatility and financial development". Thesis, Brunel University, 2016. http://bura.brunel.ac.uk/handle/2438/13989.
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This thesis consists of eight studies that cover topics in the increasingly influential field of futures- commodities, macroeconomic volatility and financial development. Chapter 2 considers the case of Argentina and provides a first thorough examination of the timing of the Argentine debacle. By applying a group of econometric tests for structural breaks on a range of GDP growth series over a period from 1886 to 2003 we conclude that there are two key dates in Argentina's economic history (1918 and 1948) that need to be inspected closely in order to further our understanding of the Argentine debacle. Chapters 3 and 4 investigated the time-varying link between financial development and economic growth. By employing the logistic smooth transition framework to annual data for Brazil covering the period 1890-2003 we found that financial development has a mixed (either positive or negative) time- varying effect on growth, which depends on trade openness thresholds. We also find a positive impact of trade openness on growth while a mainly negative one for the various political instability measures. Chapter 5 studied the convergence properties of inflation rates among the countries of the European Monetary Union over the period 1980-2013. By applying recently developed panel unit root/stationarity tests overall we are able to accept the stationarity hypothesis. Similarly, results from the univariate testing procedure indicated a mixed evidence in favour of convergence. Hence next we employ a clustering algorithm in the context of multivariate stationarity tests and we statistically detect three absolute convergence clubs in the pre-euro period, which consist of early accession countries. We also detect two separate clusters of early accession countries in the post-1997 period. For the rest of the countries/cases we find evidence of divergent behaviour. For robustness check we additionally employ a pairwise convergence Bayesian framework, which broadly confirms our findings. Finally, we show that in the presence of volatility spillovers and structural breaks time-varying persistence will be transmitted from the conditional variance to the conditional mean. Chapter 6 focuses on the negative consequences that the five years of austerity (2010-2014) imposed on the Greek economy and the society in general. To achieve that goal we summarize the views of three renowned economists, namely Paul De Grauwe, Paul Krugman and Joseph Stiglitz on the eurozone crisis as well as the Greek case. In support of their claims we provide solid evidence of the dramatic effects that the restrictive policies had on Greece. Chapter 7 analyzes the properties of inflation rates and their volatilities among five European countries over a period 1960-2003. Unlike to previous studies we investigate whether or not the infl ation rate and its volatility of each individual country displayed time-varying characteristics. By applying various power ARCH processes with structural breaks and with or without in-mean effects the results indicated that the conditional means, variances as well as the in-mean effect displayed time-varying behaviour. We also show that for France, Italy and Netherlands the in-mean effect is positive, whereas that of Austria and Denmark is negative. Chapter 8 examines the stochastic properties of different commodity time series during the recent fi nancial and EU sovereign debt crisis (1997-2013). By employing the Bai-Perron method we detect five breaks for each of the commodity returns (both in the mean and in the variance). The majority of the breaks are closely associated with the two aforementioned crises. Having obtained the breaks we estimated the power ARCH models for each commodity allowing the conditional means and variances to switch across the breakpoints. The results indicate overall that there is a time-varying behaviour of the conditional mean and variance parameters in the case of grains, energies and softs. In contrast, metals and soya complex show time-varying characteristics only in the conditional variance. Finally, conducting a forecasting analysis using spectral techniques (in both mapped and unmapped data) we find that the prices of corn remained almost stable while for wheat, heating oil, wti and orange juice the prices decreased further, though slightly. In the case of natural gas, coffee and sugar overall the prices experienced significant defl ationary pressures. As far as the prices of oats, platinum, rbob, cocoa, soybean, soymeal and soyoil is concerned, they showed an upward trend. Chapter 9 examines the effect of health and military expenditures, trade openness and political instability on output growth. By employing a pooled generalised least squares method for 19 NATO countries from 1993 to 2010 we fi nd that there is a negative impact of health and military expenditures, and political instability on economic growth whereas that of trade openness is positive.
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Herrera, Salvo Carolina, i Pearcy Andrés Warner. "Precios de commodities y su impacto en índices accionarios". Tesis, Universidad de Chile, 2002. http://www.repositorio.uchile.cl/handle/2250/111911.
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Seminario para optar al grado de Ingeniero ComercialLos mercados mundiales continuamente están recibiendo flujos de información relacionados con variaciones de oferta, demanda y niveles de inventario de los distintos commodities que pertenecen al sistema económico. En una economía competitiva, estas variaciones se traducen en movimientos de precios continuos e impredecibles debido a que en equilibrio, estos precios se determinan al igualarse los niveles de oferta y de demanda. Por lo tanto, es de gran importancia analizar y comprender el comportamiento estocástico de los precios de commodities. Dado lo anterior es que el objetivo principal del presente trabajo será estudiar el impacto que provoca el cambio en los precios de los dos principales commodities para el mercado chileno, como lo son el cobre y petróleo, sobre las fluctuaciones de los índices accionarios IPSA e IGPA. Por otro lado se intentará predecir los retornos para el cobre, petróleo, IPSA e IGPA, usando un modelo univariable en base a los precios históricos. El pronóstico está basado enteramente en las observaciones pasadas de la serie de tiempo, ajustando el modelo a los datos. El supuesto implícito es que los valores futuros de la serie dependen de los valores pasados, en otras palabras, que la distribución de probabilidad de los valores futuros está condicionada a los valores pasados. Una consideración de los partidarios de efectuar pronósticos mediante modelos univariables, es que de alguna manera, toda la información relevante se encuentra contenida en la serie. Luego, el modelo univariable no ignora las otras variables explicativas, sino que las considera implícitamente. Además, para el pronóstico no es necesario explicitar todas las variables sino que sólo considerar sus efectos. Se hace importante recalcar que el objetivo de este estudio no busca tratar de explicar los factores que hacen fluctuar los índices accionarios, sino que simplemente se analizará e interpretará el impacto posible que generen estos commodities sobre los retornos de IPSA e IGPA. Al respecto, debieran ser incluidas variables de mayor importancia relativa respecto a los factores que puedan afectar el comportamiento de los índices; como la inflación esperada, cambios en la yield curve, políticas monetarias, índices de producción industrial, precios de commodities o tal vez el PIB, por citar algunos ejemplos. En la bibliografía existente, destaca el trabajo de Chen, Roll y Ross (1986) donde se consideran algunas de estas variables y concluyen que las variaciones en el precio del petróleo no impactan significativamente sobre los retornos accionarios. Dentro de los commodities se consideró el cobre, dado que este mineral es el principal producto de exportación chileno representando un 40.5% del total de las exportaciones de bienes del país. Además, la participación de Chile en la producción mundial de cobre es de 29,9%, siendo el mayor productor del mundo, seguido de EE.UU. con una participación del 16.8%. Todo lo anterior hace evidente la importancia del cobre para Chile, tanto en el sector público como en el sector privado, y especialmente pare este último, que en la década pasada (1990-2000) aumentó su importancia de manera sorprendente, llegando a producir el 60.8% de la producción nacional de cobre en 1997. De forma análoga, también se hace necesario considerar los precios del petróleo, principalmente por el posible impacto que estudios anteriores consideran que podría provocar en los índices. La estructura de trabajo es la siguiente: En el capítulo I, se procederá a hacer una revisión bibliográfica respecto a la literatura relacionada con la predicción y comportamiento de las variables IPSA, IGPA, Petróleo y Cobre. Posteriormente en el capítulo II se describe la metodología a seguir en este estudio y se hace mención a las fuentes de donde se obtuvo la base de datos. Además, se hace una referencia conceptual de las cuatro variables que se analizarán dentro del presente trabajo y una breve reseña acerca del funcionamiento de estos mercados. En el capítulo III se presentan los resultados. En primera instancia, se identifican las cuatro series de tiempo y se realiza el mismo procedimiento para sus retornos. En segundo lugar, se plantean los posibles modelos ARIMA para cada una de las variables y se concluye el que mejor los representa. Posteriormente, se realizan seis regresiones, tres de ellas consideran como variable dependiente el retorno del índice IPSA y como variables independientes; el retorno del precio del cobre, el retorno del precio el petróleo de manera separada, y luego ambos en forma conjunta. De modo análogo ocurre con el índice IGPA. A continuación en el capítulo IV se entregan las conclusiones finales. Posteriormente, se presenta la bibliografía utilizada y los anexos del presente estudio.
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Júnior, Geraldo Costa. "Essays on the microstructure of emerging commodities futures markets". Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-14032018-123849/.
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Commodities futures trading went through unparalleled structural transformation during the first decade of the 2000s, which ultimately resulted in long lasting impacts on the volume and open interest levels as well as on the access to these markets and inclusion of new participants. Benefiting from the new sets of high frequency data made available due to these transformations, this dissertation is composed of three papers that investigate different market microstructure aspects of the commodities futures markets at BM&F-Bovespa. The first paper analyzes the modelling and forecasting of realized volatility in the corn and live cattle markets. For this purpose, the heterogeneous autoregressive model (HAR-RV) proposed by Corsi (2009) was used, as well as its extensions adapted to include jump components (Andersen et al., 2007) and leverage components (Corsi and Reno, 2012). Using measurements to compare both analysis, results show that modelling in-sample realized volatility is best performed if jumps and leverage components are included in the model. Out-of-sample forecasts results for the live cattle market show that there was no statistically significant difference between the models. For the corn markets, difference in the models\' forecast performance was found at the daily horizon only. The second paper delves into the relationship between volatility, volume and bid-ask spread in the corn and live cattle markets. Considering that these are emerging agricultural markets, concentration measures were also included. A three-equation structural model was used to capture the relationship between volatility, volume and bid-ask spread and the estimation was performed using the IV-GMM approach. Findings show that bid-ask spread levels are higher for live cattle markets than it is for corn markets. In addition, bid-ask spread is negatively related to volume and positively related to volatility. The significance and magnitude of the responses depend on the level of liquidity in each market. Further, results point out that concentration impacts corn and live cattle differently. The third paper examines the dynamic relationship between dealers activity and market structure in the live cattle inter-dealer market at BM&F-Bovespa. First, a descriptive analysis of the live cattle inter-dealer market structure is carried out and then follows an investigation of the dynamic of dealers\' activity and its determinants. Results indicate that the live cattle inter-dealer market is not competitive and that dealers\' activity is positively related to market concentration, quoted bid-ask spread, number of active dealers and the dealer\'s traded quantity.Negociações nos mercados futuros de commodities passaram por transformações estruturais significativas durante a primeira década dos anos 2000, resultando em uma elevação dos níveis de volume e open interest, e também em uma maior facilidade de acesso a esses mercados e inclusão de novos participantes. Beneficiando-se da divulgação de dados de alta frequência possibilitada por estas transformações, esta tese, composta por três artigos, tem por objetivo investigar diferentes aspectos da microestrutura dos mercados de commodities da BM&F-Bovespa. O primeiro artigo analisa a modelagem e previsão de volatilidade realizada nos mercados futuros de milho e boi gordo. Para este fim, utilizou-se o modelo heterogêneo auto regressivo proposto por Corsi (2009), bem como suas extensões adaptadas para a inclusão dos componentes de saltos (jumps) (Andersen et al., 2007) e alavancagem (Corsi e Reno, 2012). Utilizando diferentes métricas de comparação, os resultados encontrados mostram que os modelos que incluem os componentes de saltos e os de alavancagem tem melhor desempenho que os demais em análises in-sample (modelagem). Por outro lado, a análise das previsões out-of-sample mostra que, para o mercado de boi gordo, não há diferença entre os modelos empregados, enquanto que para o mercado de milho verificou-se uma diferenciação preditiva no horizonte diário, porém para os horizontes semanal e mensal, os quatro modelos tiveram performance indistinta. O segundo artigo explora a relação entre volatilidade, volume e bid-ask spread nos mercados de milho e boi gordo. Levando em conta que se trata de mercados emergentes, métricas de concentração de mercado foram incluídas na análise. Para capturar a relação entre volatilidade, volume e bid-ask spread, um modelo estrutural de três equações simultâneas foi utilizado e a estimação foi feita através do modelo GMM com variáveis instrumentais. Os resultados indicam que os níveis de bid-ask spread encontrados para o mercado de boi gordo são maiores que os encontrados para o mercado de milho. Além disso, o bid-ask spread é negativamente relacionado ao volume e positivamente relacionado à volatilidade. Entretanto, a intensidade e magnitude da relação entre as variáveis depende dos níveis de liquidez dos mercados analisados. A concentração impacta o mercado de milho e boi gordo de forma diferente. O terceiro artigo investiga a dinâmica da relação entre a atividade dos dealers e estrutura do mercado de boi gordo na BM&F-Bovespa. Primeiramente, faz-se uma análise descritiva deste mercado e posteriormente estuda-se o comportamento dos dealers e seus determinantes. Os resultados indicam que os dealers no mercado de boi gordo não operam em uma estrutura competitiva e que a atividade destes é positivamente relacionada à concentração de mercado, ao bid-ask spread, ao número de dealers ativos e à quantidade de contratos transacionada pelos dealers.
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Manoel, Paulo Martins Barbosa Fortes. "Impacto de saltos no comportamento de preços de commodities". Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-30012013-181933/.
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Neste trabalho analisa-se a relevância de saltos no apreçamento de derivativos de commodities através da comparação de dois modelos. O primeiro leva em consideração um convenience yield com reversão à média, enquanto o segundo é uma generalização do primeiro com saltos no preço à vista. Ambos os modelos são estimados por meio de uma abordagem Bayesiana, sendo as distribuições a posteriori simuladas com o uso de técnincas da família MCMC. Dados de petróleo, trigo e cobre são utilizados para fins de estimação. A análise econométrica indica significância estatística para saltos, mas não encontrou-se evidência significativa de que saltos melhoram o apreçamento de derivativos.In this work we analyze the relevance of jumps in the pricing of commodity contingent claims by comparing two models. The first takes into account mean-reverting convenience yields, and the second is a generalization of the first with jumps in spot prices. Both models were estimated using a Bayesian approach, and posterior distributions where simulated using MCMC techniques. Oil, copper and wheat data where used for estimation proposes. Econometric analysis indicates statistical significance for jumps, but we found no strong evidence that jumps improve derivative pricing.
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Pina, António José Ferreira. "Diversificação de risco entre acções e futuros de commodities". Master's thesis, Universidade de Aveiro, 2012. http://hdl.handle.net/10773/9567.
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Mestrado em EconomiaO principal objectivo desta investigação foi de verificar se a inclusão de futuros de commodities na carteira do investidor traria benefícios para esta, tendo por base a perspectiva do investidor português. Foram para isso realizados testes para averiguar se os benéficos eram estatisticamente significativos. Também se construíram carteiras e estudados os seus desempenhos por forma a responder ao nosso propósito. Os dados que foram utilizados tinham o seu início em 3 de Janeiro de 2007 e fim em 30 de Março de 2012. É de realçar que os resultados que se verificaram foram de que nem todas as commodities trazem benefícios estatisticamente significativos mas mesmo assim existem aquelas que podem os podem trazer.
The main purpose of this investigation was to verify if the inclusion of commodity futures in an investor portfolio would be useful, taking the Portuguese investor perspective. To check this out we did some statistical tests. We also construct portfolios and study their performance. The dataset begin on 3rd January of 2007 and finishes on 30th March of 2012. We need to highlight that results showed that are there some commodity futures that do not bring benefits to the investor’s portfolio, but there are commodities futures which in fact improve the portfolios and bring statistically significant benefits.
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Ilario, Clayton Gomes 1985. "Região agrícola competitiva e logística no oeste baiano". [s.n.], 2011. http://repositorio.unicamp.br/jspui/handle/REPOSIP/286706.
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Orientador: Ricardo Abid CastilloDissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Geociências
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Resumo: Objetiva-se nesse estudo analisar a região agrícola do Oeste da Bahia, porção do Cerrado incorporada às fronteiras agrícolas modernas, através de três aspectos principais: (1) a produção agrícola e agroindustrial, em bases modernas e especializadas, incluindo aspectos do circuito espacial dos principais produtos, particularmente soja, milho e algodão herbáceo; (2) a circulação, expressa no desenvolvimento de um sistema logístico de armazenamento e movimentação; e (3) a constituição de um ambiente normativo e regulatório, de âmbito federal (Agências Reguladoras, Planos e Programa Federais de investimentos e concessões de serviços públicos a empresas privadas), estadual (incentivos para atrair produtores e grandes empresas do agronegócio) e privado (associações setoriais). A partir da análise das fronteiras agrícolas em áreas do Cerrado, em especial no Oeste Baiano, propomos uma discussão dos conceitos de região competitiva e logística, compreendidos como novas formas regionais inseridas no atual período da globalização e sua correspondente forma de circulação corporativa, identificando quais são os principais agentes envolvidos (sobretudo o Estado e grandes empresas) na produção e circulação de commodities agrícolas. O recorte espacial analisado abrange os municípios de São Desidério, Barreiras e Luís Eduardo Magalhães, localizados no Oeste Baiano, por apresentarem maiores atributos de competitividade em relação aos outros municípios da região. Dessa forma, essa pesquisa propõe um estudo sobre a organização, o uso e a regulação do território através da análise do Oeste Baiano como região competitiva, além de considerar as demandas logísticas da produção e movimento de commodities (sobretudo soja, milho e algodão herbáceo) e suas implicações para o planejamento territorial
Abstract: The objective of this study is to analyze the agricultural region of the West of Bahia, portion of Cerrado incorporated to the modern agricultural borders, through three main aspects: (1) the agricultural and agroindustrial production, in modern and specialized bases, including aspects of the space circuit of the main products, particularly soy, maize and herbaceous cotton; (2) the circulation, expressed in the development of a logistic system of storage and movement; and (3) the constitution of a normative and regulatory environment, in federal scope (Federal Regulation Agencies, Federal Plains and Programs of investments, and concessions of public services to private companies), in state scope (incentives to attract producers and great companies of the agrobusiness) and private (sectorial associations). From the analysis of the agricultural borders in areas of Cerrado, in special in the West of Bahia, we consider a quarrel of the concepts of competitive region and logistic, understood as new regional forms inserted in the current period of globalization and its corresponding form of corporative circulation, identifying which are the main involved agents (mainly the State and great companies) in the production and circulation of agricultural commodities. The analyzed space clipping encloses the cities of São Desidério, Barreiras and Luis Eduardo Magalhães, located in the West of Bahia, for presenting greaters attributes of competitiveness in relation to the other cities of the region. Thus, this research considers a study on the organization, the use and the regulation of the territory through the analysis of the West of Bahia as competitive region, beyond considering the logistic demands of the production and movement of commodities (mainly soy, maize and herbaceous cotton) and its implications for the territorial planning
Mestrado
Análise Ambiental e Dinâmica Territorial
Mestre em Geografia
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Leite, Lucas Gurgel. "Inflação de alimentos e derivativos agropecuários: uma análise de causalidade para o período de 1999 a 2011". reponame:Repositório Institucional da UFC, 2012. http://www.repositorio.ufc.br/handle/riufc/5413.
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LEITE, Lucas Gurgel. Inflação de alimentos e derivativos agropecuários: uma análise de causalidade para o período de 1999 a 2011. 2012. 37 f. Dissertação (mestrado) - Programa de Pós Graduação em Economia, CAEN, Universidade Federal do Ceará, Fortaleza-CE, 2012.Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2013-07-16T21:58:27Z No. of bitstreams: 1 2012_dissert_lgleite.pdf: 219702 bytes, checksum: b213cd472c1219f7c057cfb9f0f45dce (MD5)
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This study aims to analyze the relationship between the derivative operations and agricultural food inflation in Brazil and abroad. To this end, monthly data are used about the number of trades carried out on agricultural derivative contracts in BMF & BOVESPA, the IPCA of food and international prices of agricultural commodities from January 1999 until January 2011. The analysis applies some tests, such as the Augmented Dickey-Fuller (1979), the cointegration test of Johansen (1988), the Granger-causality test within an error-correction framework (GRANGER,1986) and the long-run causality test developed by Bruneau e Jondeau (1999). The results indicate both on short and long term a unidirectional causality from the international prices of agricultural commodities to the volume of derivatives contracts, and also the absence of a causal relationship between the latter and domestic food inflation. It follows that the dominant hypothesis is the price effect, thus changes in prices in the spot market Granger cause the elevation of the use of agricultural derivatives, although the reference to the agents are the international prices. Finally, the results still show, just for the long term, a unidirectional causality of the international food inflation on the Brazilian’s, demonstrating the significance of the foreign sector in the national food prices.
Este estudo tem como objetivo analisar a relação entre as operações de derivativos agropecuários e a inflação de alimentos no Brasil e no exterior. Para tanto, são utilizados dados mensais referentes ao número de negócios efetuados com contratos de derivativos agrícolas na BMF&BOVESPA, ao IPCA relativo à alimentação e aos preços internacionais de commodities agropecuárias de janeiro de 1999 até janeiro de 2011. Faz-se uso do teste Dickey Fuller Aumentado (1979), do teste de cointegração de Johansen (1988), da causalidade de Granger com uma estrutura de mecanismo de correção de erros (GRANGER,1986), além do teste de causalidade de longo-prazo desenvolvido por Bruneau e Jondeau (1999). Os resultados obtidos indicam, tanto no curto como no longo prazo, uma causalidade unidirecional dos preço internacionais de commodities agropecuárias sobre o volume de derivativos, além da ausência de relação causal entre este último e a inflação nacional de alimentos. Dessa forma, tem-se que a hipótese preponderante é a do efeito preço, ou seja, alterações dos preços no mercado à vista causam no sentido de Granger o aumento do uso de derivativos, sendo que o índice de referência dos agentes são os preços internacionais. Por fim, os resultados demonstram, ainda, apenas para o longo prazo, uma causalidade unidirecional da inflação internacional de alimentos sobre a brasileira, comprovando a significância do setor externo nas alterações dos preços nacionais de alimentos.
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Aparecido, Julio. "Bloomberg UPT 2019. Parte 10 de 12. Análisis de commodities según Bloomberg". Universidad Peruana de Ciencias Aplicadas (UPC), 2019. http://hdl.handle.net/10757/628250.
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La Universidad Peruana de Ciencias Aplicadas (UPC) fue sede de la segunda edición del “University Premium Training” organizada por Bloomberg, empresa líder en información financiera y económica a nivel mundial. / El evento, que fue realizado los días 5, 6 y 7 de noviembre en el campus San Isidro, tuvo como objetivo poder reforzar las competencias de los docentes de diversas universidades de Lima que emplean Bloomberg como una herramienta didáctica para la educación y planificación financiera. Esta compañía brinda herramientas de software financiero, como análisis, plataformas de comercio capital y servicios de datos para las empresas quienes deseen consultar información bursátil y financiera en tiempo real. / Además, se contó con la participación de expertos que emplean la herramienta como apoyo para la toma de decisión financiero: Lizzette Lara; especialista en riesgos y derivados, André Lapponi; especialista Senior en Portafolio y Análisis técnico, Pedro Cortejo, CEO-Founder de Decision Capital, entre otros.Se analizan los commodities o materias primas, la determinación de sus precios, las fuerzas de la oferta y la demanda, y el mercado invertido, sobre la base de los mercados energéticos, mineros y de hidrocarburos. / Ponente: Julio Aparecido, especialista de Commodities en América Latina.
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Oliveira, Camila Espezio de. "Variações na cobertura florestal e o comércio internacional de commodities agrícolas: uma investigação à luz da Teoria de Transição Florestal". Universidade de São Paulo, 2018. http://www.teses.usp.br/teses/disponiveis/100/100136/tde-27112018-134131/.
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A Teoria da Transição Florestal prevê recuperação das florestas a partir de alterações no foco da economia, onde os setores terciário e secundário substituiriam o setor primário. Críticos desta hipótese afirmam que a transição ocorre por meio do deslocamento da produção agropecuária ao exterior, enquanto os países produtores passariam por uma expansão da agricultura, perdendo cobertura florestal. Outros autores refutam o argumento de que o comércio internacional seria o principal canal de ligação entre a Transição Florestal em países importadores e o avanço das fronteiras agrícolas nos países produtores. Diante da divergência dos modelos explicativos, o presente estudo busca avaliar se o comércio internacional de commodities agrícolas promove o deslocamento das áreas de desmatamento de países importadores de commodities para países exportadores. Foram analisados dados de exportações e importações de soja em grão e óleo de palma pelos principais países nesses mercados, confrontando-os com dados de variação histórica da cobertura florestal nacional entre os anos de 1990 e 2015. Os resultados apontam que o comércio internacional de commodities agrícolas opera como um canal de realocação entre o ganho de florestas em países importadores e o desmatamento em países exportadoresThe Forest Transition Theory predicts that forest recover arises from changes in the focus of the economy, where the service and industry sectors replace the agriculture sector. Critics affirm that the transition occurs through the displacement of agricultural production abroad, while producing countries would undertake agriculture an expansion and lose forest cover. Other authors refute the argument that international trade would be the main linkage between the Forest Transition occurrence in importing countries and the advance of agricultural frontiers in producing countries. Considering the divergence between explanatory models, this study seeks to assess whether the international trade of agricultural commodities promotes the displacement of deforestation areas from importing countries to commodity-exporting countries. Data of exports and imports of soya bean and palm oil from the main countries in these markets were confronted to the historical variation of national forest cover between 1990 and 2015. Results point out that international trade of agricultural commodities operates as a relocation channel between forest gains in importer countries and deforestation in exporter ones
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Baldwin, Andrew. "The treatment of seasonal commodities in the consumer price index". Thesis, University of Ottawa (Canada), 1986. http://hdl.handle.net/10393/4580.
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Kjaer, Mats. "Pricing of some path-dependent options on equities and commodities /". Göteborg : Dept. of Economics, School of Economics and Commercial Law [Nationalekonomiska institutionen], Univ., 2006. http://www.handels.gu.se/epc/archive/00004850/01/Kjaer%5Favh%5Ffulltext.pdf.
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Connolly-Boutin, Liette. "Potential for cold storage of horticultural commodities in tropical countries". Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=18803.
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An evaluation of the use of short-term cold storage of tomatoes to tide over the cyclical market glut of horticultural products was conducted in Coimbatore, Tamil Nadu, India. Farmers stored their harvest at a rental commercial cold-storage facility in the city and at an experimental cold store at the Tamil Nadu Agricultural University in Coimbatore. The goal was to study the storage characteristics of the produce as well as to assess the economic benefits of adopting such an intervention. The temperature and relative humidity conditions at both locations and the fate of the produce were monitored. The proportion of marketable produce diminished significantly as the storage period increased, with major losses occurring due to microbial damage. Differences in the air conditions at the locations did not have a significant effect on the storage-related losses of produce. Economic analysis showed that short-term cold storage would not aid farmers unless measures were taken to reduce the microbiological losses during postharvest handling.Une évaluation d'entreposage de tomates à court terme a été effectuée à Coimbatore, dans l'état du Tamil Nadu en Inde, dans le but d'aider les fermiers à pallier la saturation cyclique du marché des fruits et légumes frais. Des fermiers ont entreposé leur récolte de tomates dans un entrepôt frigorifique commercial situé dans la ville, ainsi que dans un entrepôt frigorifique expérimental situé dans le Tamil Nadu Agricultural University dans la même ville indienne. Le but de l'expérience était d'étudier les caractéristiques d'entreposage du produit, ainsi que d'évaluer les bénéfices économiques liés à l'adoption d'une telle intervention. La température, l'humidité relative et le sort des produits horticoles ont été surveillés. Avec l'augmentation des temps d'entreposage, la proportion des fruits frais ayant une valeur marchande a baissé considérablement; la plupart des pertes était due à des infections microbiennes. Les différences dans les conditions ambiantes des deux entrepôts n'ont pas eu d'effet considérable sur les pertes de fruits frais dues à l'entreposage. Une analyse économique a démontré que l'entreposage à court terme n'aidera pas les fermiers à moins que des mesures supplémentaires soient adoptées afin de réduire les pertes microbiennes durant les manipulations post-récoltes.
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Watzl, Johannes. "A framework for exchange-based trading of cloud computing commodities". Diss., Ludwig-Maximilians-Universität München, 2014. http://nbn-resolving.de/urn:nbn:de:bvb:19-168702.
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Cloud computing is a paradigm for using IT services with characteristics such as flexible and scalable service usage, on-demand availability, and pay-as-you-go billing. Respective services are called cloud services and their nature usually motivates a differentiation in three layers: Infrastructure as a Service (IaaS) for cloud services offering functionality of hardware resources in a virtualised way, Platform as a Service (PaaS) for services acting as execution platforms, and Software as a Service (SaaS) representing applications provided in a cloud computing way.
Any of these services is offered with the illusion of unlimited scalability. The infinity gained by this illusion implies the need for some kind of regulation mechanism to manage sup- ply and demand. Today’s static pricing mechanisms are limited in their capabilities to adapt to dynamic characteristics of cloud environments such as changing workloads. The solution is a dy- namic pricing approch compareable to today’s exchanges. This requires comparability of cloud services and the need of standardised access to avoid vendor lock-in. To achieve comparability, a classification for cloud services is introcuced, where classes of cloud services representing tradable goods are expressed by the minimum requirements for a certain class.
The main result of this work is a framework for exchange-based trading of cloud com- puting commodities, which is composed of four core components derived from existing ex- change market places. An exchange component takes care of accepting orders from buyers and sellers and determines the price for the goods. A clearing component is responsible for the fi- nancial closing of a trade. The settlement component takes care of the delivery of the cloud service. A rating component monitors cloud services and logs service level agreement breaches to calculate provider ratings, especially for reliability, which is an important factor in cloud computing.
The framework establishes a new basis for using cloud services and more advanced business models. Additionally, an overview of selected economic aspects including ideas for derivative financial instruments like futures, options, insurances, and more complex ones is pro- vided. A first version of the framework is currently being implemented and in use at Deutsche Bo ̈rse Cloud Exchange AG.Cloud Computing repra ̈sentiert eine neue Art von IT-Diensten mit bestimmten Eigenschaften wie Flexibilita ̈t, Skalierbarkeit, sta ̈ndige Verfu ̈gbarkeit und nutzungsbezogene (pay-as-you-go) Abrechnung. IT-Dienste, die diese Eigenschaften besitzen, werden als Cloud Dienste bezeichnet und lassen sich in drei Ebenen einteilen: Infrastructure as a Service (IaaS), womit virtuelle Hardware Ressourcen zur Verfu ̈gung gestellt werden, Platform as a Service (PaaS), das eine Ausfu ̈hrungsumgebung darstellt und Software as a Service (SaaS), welches das Anbieten von Applikationen als Cloud Dienst bezeichnet. Cloud Dienste werden mit der Illusion unendlicher Skalierbarkeit angeboten. Diese Unendlichkeit erfordert einen Mechanismus, der in der Lage ist, Angebot und Nachfrage zu regulieren. Derzeit eingesetzte Preisbildungsmechanismen sind in ihren Mo ̈glichkeiten beschra ̈nkt sich auf die Dynamik in Cloud Umgebungen, wie schnell wechselnde Bedarfe an Ressourcen, einzustellen. Eine mo ̈gliche Lo ̈sung stellt ein dynamischer Preisbildungsmechanismus dar, der auf dem Modell heutiger Bo ̈rsen beruht. Dieser erfordert die Standardisierung und Vergleichbarkeit von Cloud Diensten und eine standardisierte Art des Zugriffs. Um die Vergleichbarkeit von Cloud Diensten zu erreichen, werden diese in Klassen eingeteilt, die jeweils ein am Bo ̈rsenplatz handelbares Gut darstellen. Das Ergebnis dieser Arbeit ist ein Rahmenwerk zum bo ̈rsenbasierten Handel von Cloud Computing Commodities, welches aus vier Kernkomponenten besteht, die von existieren- den Bo ̈rsen und Rohstoffhandeslpla ̈tzen abgeleitet werden ko ̈nnen. Die Bo ̈rsenkomponente nimmt Kauf- und Verkaufsorders entgegen und bestimmt die aktuellen Preise der handelbaren Cloud Rohstoffe. Die Clearing Komponente stellt die finanzielle Abwicklung eines Gescha ̈ftes sicher, das Settlement ist fu ̈r die tatsa ̈chliche Lieferung zusta ̈ndig und die Rating Komponente u ̈berwacht die Cloud Dienste im Hinblick auf die Nichteinhaltung von Service Level Agree- ments und vor allem deren Zuverla ̈ssigkeit, die einen wichtigen Faktor im Cloud Computing darstellt. Das Rahmenwerk begru ̈ndet eine neue Basis fu ̈r die Cloudnutzung und ermo ̈glicht fort- geschrittenere Gescha ̈ftsmodelle. In der Arbeit wird weiters ein U ̈berblick u ̈ber o ̈konomis- che Aspekte wie Ideen zu derivaten Finanzinstrumenten auf Cloud Computing Commodities gegeben. Dieses Rahmenwerk wird derzeit an der Deutsche Bo ̈rse Cloud Exchange AG imple- mentiert und bereits in einer ersten Version eingesetzt.
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Salamah, Najah Hassan. "Factors affecting purchasing decision of modish commodities by Saudi Females". Thesis, University of Huddersfield, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.438070.
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